Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7550
Type: Artigo
Title: Testing for long-range dependence in the Brazilian term structure of interest rates
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: This paper presents empirical evidence of fractional dynamics in interest rates for different maturities for Brazil. A variation of a newly developed test for long-range dependence, the V/S statistic, with a post-blackening bootstrap is employed. Results suggest that Brazilian interest rates possess strong long-range dependence in volatility, even when considering the structural break in 1999. These findings imply that the development of policy models that give rise to long-range dependence in interest rates’ volatility could be very useful. The long–short-term interest rates spread has strong long-range dependence, which suggests that traditional tests of expectation hypothesis of the term structure of interest rates may be misspecified.
Citation: CAJUEIRO, Daniel Oliveira; TABAK, Benjamin Miranda. Testing for long-range dependence in the Brazilian term structure of interest rates. Chaos, Solitons and Fractals , v. 40, p. 1559-1573, 2009.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/327
https://repositorio.ucb.br:9443/jspui/handle/123456789/7550
Document date: 2009
Appears in Collections:PPG - Revistas e Artigos Científicos

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